27 citations · 119 across the 13 of their papers we have counts for
4 papers · 1 filter
A data-science-driven short-term analysis of Amazon, Apple, Google, and Microsoft stocks
Shubham Ekapure, Nuruddin Jiruwala, Sohan Patnaik +1
In this paper, we implement a combination of technical analysis and machine/deep learning-based analysis to build a trend classification model. The goal of the paper is to apprehen…
Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
Nicholas Salmon, Indranil SenGupta
In this paper, we introduce and analyze the fractional Barndorff-Nielsen and Shephard (BN-S) stochastic volatility model. The proposed model is based upon two desirable properties…
Analysis of optimal portfolio on finite and small time horizons for a stochastic volatility market model
Minglian Lin, Indranil SenGupta
In this paper, we consider the portfolio optimization problem in a financial market under a general utility function. Empirical results suggest that if a significant market fluctua…
Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters
Xianfei Hui, Baiqing Sun, Hui Jiang +1
In this paper we implement a combination of data-science and fuzzy theory to improve the classical Barndorff-Nielsen and Shephard model, and implement this to analyze the S&P 500 i…